Optimal investment under partial information and robust VAR-type constraint
Nicole Bäuerle, An Chen
| Year of publication: |
2023
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|---|---|
| Authors: | Bäuerle, Nicole ; Chen, An |
| Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 26.2023, 4/5, Art.-No. 2350017, p. 1-18
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| Subject: | risk management | Uncertainty about drift | value-at-risk-based regulation | Theorie | Theory | Unvollkommene Information | Incomplete information | Risikomanagement | Risk management | Risiko | Risk | Regulierung | Regulation | Entscheidung unter Unsicherheit | Decision under uncertainty |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024923500176 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014497281